HE doesn't bounce or ding. It either hits to much armor it can dig past, thus nullifying any damage. Or it does zero damage critical hits on modules.

This time you hit the tip of his barrel. A module. Thus there is no armor to damage in the splash when the HE detonates. So the game says "damage blocked" vs module damage like console does. And the critical hit sound is gone now.

And as you can see on the team score panels. None of the enemy Skorps had damage blocked. Check the damage list next time. They also list damage modules you did to them. If the gun is listed there next time on something you hit with HE for zero damage. That's most likely the reason.